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Quantile aggregation and combination for stock return prediction
Jiang, Chuanliang; Maasoumi, Esfandiar; Xiao, Zhijie - In: Econometric reviews 39 (2020) 7, pp. 715-743
Persistent link: https://www.econbiz.de/10012262517
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A new strategy for short-term stock investment using Bayesian approach
Tai Vo-Van; Ha Che-Ngoc; Nghiep Le-Dai; Thao Nguyen-Trang - In: Computational economics 59 (2022) 2, pp. 887-911
Persistent link: https://www.econbiz.de/10013169109
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Equity-Market-Neutral strategy portfolio construction using LSTM-Based stock prediction and selection : an application to S&P500 consumer staples stocks
Nafia, Abdellilah; Yousfi, Abdellah; Echaoui, Abdellah - In: International Journal of Financial Studies : open … 11 (2023) 2, pp. 1-48
task. In this study, we propose a model to build a portfolio according to an equity-market-neutral (EMN) investment …
Persistent link: https://www.econbiz.de/10014284737
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Aktive Aktien-Portefeuillesteuerung auf Grundlage stochastischer Ansätze
Mayser, Jürgen - 1996 - 1. Aufl
Persistent link: https://www.econbiz.de/10000930298
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Dynamic asset allocation with event risk, transaction costs and predictable returns
Simonato, Jean-Guy - In: Mathematics and financial economics 12 (2018) 4, pp. 561-587
Persistent link: https://www.econbiz.de/10011963881
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Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models
Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10014429053
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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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Liquidity and asset prices : an empirical investigation of the nordic stock markets
Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705
Persistent link: https://www.econbiz.de/10011408519
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Geometric Dispersion Theory for Portfolio Accurate Out-of-Sample Predictions of Stock Market
Komaki, Mohamed - 2019
This paper addresses portfolio selection under Geometric Dispersion Theory (GDT). GDT is a recently developed model for … decision-making models. GDT outperforms Mean-Variance, Expected utility theory, and Cumulative Prospect theory. In this study …
Persistent link: https://www.econbiz.de/10012894690
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Forecasting stock market returns : new technical indicators and two-step economic constraint method
Dai, Zhifeng; Dong, Xiaodi; Kang, Jie; Hong, Lianying - In: The North American journal of economics and finance : a … 53 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012642438